Pelliccia, Marco - Birkbeck, Department of Economics, Mathematics & Statistics - 2012
This paper studies the impact of a probabilistic risk-sharing network structure on the optimal portfolio composition … function of his location in the network. If we assume positive asset-correlation coefficients, the relative location of a …-straightforward way. We analyse also two potential "centrality measures" able to select the key-player in the risk-sharing network. The …